A Legendre-based computational method for solving a class of Ito stochastic delay differential equations

被引：7

作者：

Ernst, Philip A. ^{[1
]}

Soleymani, Fazlollah ^{[2
]}

机构：

[1] Rice Univ, Dept Stat, Houston, TX 77005 USA

[2] IASBS, Dept Math, Zanjan 4513766731, Iran

来源：

NUMERICAL ALGORITHMS | 2019年 / 80卷 / 04期

基金：

美国国家科学基金会;

关键词：

Legendre collocation method; Stochastic delay differential equations; Strong solution; Lamperti transformation; Wiener process;

D O I：

10.1007/s11075-018-0526-y

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper provides a numerical method for solving a class of Ito stochastic delay differential equations (SDDEs). The method's novelty is its use of the spectral collocation approach using Legendre polynomials for solving SDDEs. We prove that the method is strongly convergent in L-2 and proceed to demonstrate its computational efficiency and superior accuracy.

引用

页码：1267 / 1282

页数：16

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